How do I draw onto video with Grease Pencil in the VSE?
Afaik, annotations are not for output, but only for notes inside Blender and therefore can't be added to the exported video. However you can draw with grease pencil in the 3d view in a new scene and add that scene as a scene strip to the sequencer(check transparent and change blend mode to alpha over), and that will be in the exported file.
Btw. same question here: Grease Pencil to Video Sequencer
How to draw GP on top of video:

How to add a grease pencil scene to the vse: